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seen Sep 2 '13 at 11:07

Oct
17
answered What are the typical “realized latencies” across different products and infrastructures?
Oct
17
comment What are the typical “realized latencies” across different products and infrastructures?
This question is overly broad, I'd say - haphazard. It mixes various ideas that are commonly named 'latency': from the stock market's matching engine latency (not even mentioned directly), thru network latency to latencies introduced by third party products.
Sep
21
comment What benefits are there to employing agile software development methodologies for quants?
"software development methodologies are a religious war" - Nothing can be more true than this statement.
Sep
21
comment What to ask for in a good prototyping framework?
To the points above I'd also add a broadly understood "Database connectivity". Having to manually export data from your source just to import it into your framework is a frustrating activity that is prone to mistakes than may have disastrous effects - as the old adage says "garbage in, garbage out".
Sep
20
answered What benefits are there to employing agile software development methodologies for quants?
Aug
25
comment Why is C++ still a very popular language in quantitative finance?
To sum up your answer: "Risk aversion" ;)
Aug
24
comment What kind of specialized hardware is used in trading?
You'll find this presentation interesting: ra.ziti.uni-heidelberg.de/coeht/pages/events/20110208/…
Aug
13
answered How many explanatory variables is too many?
Jul
14
awarded  Critic
May
24
answered A generic limit order book: What are the most important queries it should be able to answer?
Apr
11
comment How good is managed code for algo trading?
There is a guy that states (in a comment below scottlocklin.wordpress.com/2011/03/24/…) that Goldman does its CEP using OCaml. But no reference, alas.
Apr
9
comment Efficiently storing real-time intraday data in an application agnostic way
@chrisaycock "You can have a "spool" process that subscribes to your ticker plant and whose sole purpose is to log ticks every few seconds to non-volatile storage. That will take care of (2)" Note that my solution for (2) isn't designed "to log ticks every few seconds": its architecture (series as BLOBs) renders doing that ineffective, esp. as the day advances - its not possible to append data to BLOBs without rewriting them. That's why I need (1) as a separate subsystem.
Apr
8
answered Efficiently storing real-time intraday data in an application agnostic way
Mar
22
answered Ultra-High Frequency Trading Help
Mar
6
comment How should I store tick data?
What filesystem do you use? In my case the NTFS (initially empty) broke down after putting some 18 millions (about 10 years of historical data) files into it. Then 'chkdsk' took half a day... Putting the same amount of files into a DB has proven to be much better idea in terms of performance, space and stability.
Mar
4
awarded  Quorum
Mar
2
awarded  Supporter
Feb
27
awarded  Teacher
Feb
27
answered What is the best data structure/implementation for representing a time series?